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Certified Applied Quantitative Finance (CAQF)

COURSE DESCRIPTION

CAQF provides in-depth, practical training in Mathematical Finance, Financial Modeling, Derivatives and Risk Management. The CAQF is unique in its approach and commitment to the field of real-world quantitative finance.

COURSE COLLATERALS AND HIGHLIGHTS

    • Backtester in Excel for various technical trading strategies
    • Financial Engineering tools and methodologies
    • Monte Carlo Simulators
    • Black Scholes Pricer
    • Pricers for Path dependant options
    • Prices for basket products
    • CDS and CDO prices
    • Volatility Models
    • Model Calibration Frameworks

    COURSE OBJECTIVES

    • Prepare for a career in quantitative roles in Investment Banking, Commercial Banks, Analytics firms, Rating Agencies and Funds
    • Hands-on training on Quantitative Models, Financial Engineering and Financial Analytics tools and modeling through excel-VBA and R programming
    • Learn how to price, hedge and structure Derivatives on varied asset classes such as Equities, Fixed Income, FX and Credit
    • Learn how to apply Quantitative Methods to Finance
    • Learn how to apply to Financial Econometrics models to financial datasets
    • Learn Stochastic Calculus to understand building blocks of Pricing Derivatives
    • Understand Pricing Frameworks for valuing Derivatives including Black Scholes and Extensions, Binomial Models and Risk Neutral Pricing
    • Learn extensions to Black Scholes and how to value Exotic Derivatives
    • Learn Option sensitivities (Greeks) and Dynamic Hedging
    • Understand Volatility Models and how to extend to Stochastic Volatility Models
    • Apply default probability concepts to Applied Quantitative Risk Modeling
    • Apply Monte Carlo simulations pricing Baskets and Path dependent options

    WHO SHOULD ATTEND

    This program is extremely useful for participants who want to build careers as
    • Quantitative Analysts
    • Quantitative Researchers
    • Derivatives Strategists
    • Financial Analysts
    • Investment Management Analysts
    • Structurers
    • Risk Managers
    • Sales-Traders
    • Quantitative Developers

    Fast Facts

  • Certified by : Moody’s Analytics and EduEdgePro
  • Broad Coverage:
  • Overview of Derivatives Products
  • Quantitative method in finance
  • Applied Financial Econometrics
  • Fundamentals of Quantitative Finance
  • Black-Scholes Framework and Extensions
  • Quantitative Modelling in Derivative Pricing
  • Applied Quantitative Finance
  • Advanced Option
  • Quantitative Risk

DETAILED CURRICULUM

  • Forward and Futures Contracts
  • Options Contracts – Markets and Mechanics
  • Equity Derivatives
  • Fixed Income Derivatives
  • Credit Derivatives
  • Probability Theory
  • Distributions for Financial Markets
  • Statistics for Empirical Distributions
  • Applied Estimation and Hypothesis Testing
  • Financial Economics and Applications to Portfolio Theory
  • Numerical Methods/Optimization in Finance
  • Classical Linear Regression Model and Applications
  • Problems with Regression and Solutions
  • Factor Models
  • Classical Models of Volatility and Correlation
  • Time Series Analysis and Models
  • Forecasting and Model Evaluation
  • Mathematical Preliminaries
  • Brownian Motion, Poisson Process
  • Martingales, EMMs
  • Ito’s Lemma for single assets
  • Ito’s Lemma for multi-asset products
  • Default Probability Analytics
  • Risk Neutral Pricing
  • Introduction to Black Scholes
  • Return Form of Asset Pricing
  • PDE approach for Derivatives pricing
  • Black Scholes Framework
  • Extension to Black Scholes
  • Stochastic Volatility models
  • Jump Diffusion Models
  • Modeling Implied Volatility and Surfaces
  • Derivatives Pricing Approaches
  • Monte Carlo Simulations
  • Simulations for correlated assets
  • Calibrating Quantitative Models
  • HJM and LIBOR Market models for Fixed Income
  • Gaussian Copula Models for Credit Derivatives
  • Pricing Models for Exotic Options
  • Framework for Advanced Options Strategies
  • Engineering Option Structures
  • Option Greeks for Strategies
  • Dynamic Hedging
  • Financial Engineering and Applications to Structured Products
  • Fixed Income Models and Calibration
  • Volatility Models and Strategies
  • Quantitative Investment Modeling
  • Risk Management and Modeling
  • Algorithmic Trading and Market Microstructure
  • Risk Analytics & Modeling
  • Simulations & Risk
  • VaR Modeling
  • Portfolio Risk Analytics
  • Default Modeling
  • Credit Portfolio Modeling
  • Structured Credit

MODES OF DELIVERY

  • A. CLASSROOM TRAINING
  • B. E-LEARNING
  • C. CUSTOMISED IN-HOUSE TRAINING FOR A GROUP

Let us bring our classes to you! Our in-house training is ideal for groups of 10 or more people. We can provide Off-the-shelf training in the form of our classic courses, or we can provide bespoke training, tailored to your organizational goals and objectives. Please contact us for further details.

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